【英文】剑桥风险研究中心报告：欧元区崩溃金融灾难压力测试（37页）

英文研究报告 2024年05月10日 07:27 管理员

Sovereign default is a failure or refusal by a country’s government to make a repayment of national debts. Consequences include devaluation of the principal, as well as loss of yield from the bond. This report explores the impact of unexpected devaluation of fixed income assets resulting from a cascade of sovereign debt devaluations caused by the sequential exit of countries from a currency union. Suchdevaluations canhave a similarfinancial effect as defaults which, if occurring in what are conventionally regarded as high quality, low risk investments, from one of our four Financial Catastrophe scenarios. Scenarios more generally can be used to cover the spectrum of extreme shocks, such as those proposed in the Cambridge Taxonomy of Threats, which encompasses five classes of business risk. A suite of scenarios is a basis for a global enterprise to stress test itself and improve its resilience. Eurozone Meltdown In this scenario political pressures force a bloc of European countries into a cascade of exits from the currency union. The speed and rapid incidence of multiple countries exiting is the most significant dimension of the scenario. The exit from the Euro spreads by contagion of similar political and economic issues across a number of countries and affects other economies that are typically thought of as being core countries of the Eurozone. These problematic political drivers might still endanger the currency union, although the pure financial market risks now seem to be under control as a powerful rescue architecture has been set up since 2011. While the “standard” scenario variant S1 limits such a contagion on the peripheral countries, it comes, in the more severe scenario variants, S2 and X1, to a Eurozone meltdown with severe global effects. These scenarios cause a worldwide recession lasting just over a year (approximately five to six fiscal quarters).